bool ConicSolver::Solve(VectorXd& sol)
{
bool ret = false;
#ifdef _WIN32
VectorXd solution;
convertMatrixVectorFormat();
MSKenv_t env;
MSKtask_t task;
MSKrescodee r;
r = MSK_makeenv(&env, NULL, NULL, NULL, NULL);
if (r == MSK_RES_OK)
{
r = MSK_linkfunctoenvstream(env, MSK_STREAM_LOG, NULL, printstr);
}
r = MSK_initenv(env);
if (r == MSK_RES_OK)
{
r = MSK_maketask(env, mNumCon, mNumVar, &task);
if (r == MSK_RES_OK)
{
r = MSK_linkfunctotaskstream(task, MSK_STREAM_LOG, NULL, printstr);
}
if (r == MSK_RES_OK)
r = MSK_putmaxnumvar(task, mNumVar);
if (r == MSK_RES_OK)
r = MSK_putmaxnumcon(task, mNumCon);
/* Append ¡¯NUMCON ¡¯ empty constraints .
The constraints will initially have no bounds . */
if (r == MSK_RES_OK)
r = MSK_append(task, MSK_ACC_CON, mNumCon);
/* Append ¡¯NUMVAR ¡¯ variables .
The variables will initially be fixed at zero (x =0). */
if (r == MSK_RES_OK)
r = MSK_append(task, MSK_ACC_VAR, mNumVar);
/* Optionally add a constant term to the objective . */
if (r == MSK_RES_OK)
r = MSK_putcfix(task, mConstant);
for (int j = 0; j < mNumVar && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective .*/
if (r == MSK_RES_OK)
r = MSK_putcj(task, j, mc[j]);
/* Set the bounds on variable j.*/
if (r == MSK_RES_OK)
{
if (mbLowerBounded[j] && mbUpperBounded[j])
{
if (mlb[j] == mub[j])
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_FX, mlb[j], mub[j]);
else
{
CHECK(mlb[j] < mub[j]);
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_RA, mlb[j], mub[j]);
}
}
else if (mbLowerBounded[j])
{
r = MSK_putbound(task, MSK_ACC_VAR, j , MSK_BK_LO, mlb[j], +MSK_INFINITY);
}
else if (mbUpperBounded[j])
{
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_UP, -MSK_INFINITY, mub[j]);
}
else
{
r = MSK_putbound(task, MSK_ACC_VAR, j, MSK_BK_FR, -MSK_INFINITY, +MSK_INFINITY);
}
}
/* Input column j of A */
if (r == MSK_RES_OK && mNumCon)
{
int currentColumnIdx = mAColumnStartIdx[j];
int nextColumnIdx = mAColumnStartIdx[j + 1];
if (nextColumnIdx - currentColumnIdx > 0)
r = MSK_putavec(task, MSK_ACC_VAR, j, nextColumnIdx - currentColumnIdx, &(mARowIdx[currentColumnIdx]), &(mAValues[currentColumnIdx]));
}
}
/* Set the bounds on constraints .
for i=1, ... , NUMCON : blc [i] <= constraint i <= buc [i] */
for (int i = 0; i < mNumCon && r == MSK_RES_OK; ++i)
{
if (mbConstraintLowerBounded[i] && mbConstraintUpperBounded[i])
{
if (mlbc[i] == mubc[i])
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_FX, mlbc[i], mubc[i]);
}
else
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_RA, mlbc[i], mubc[i]);
}
}
else if (mbConstraintLowerBounded[i])
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_LO, mlbc[i], +MSK_INFINITY);
}
else if (mbConstraintUpperBounded[i])
{
r = MSK_putbound(task, MSK_ACC_CON, i, MSK_BK_UP, -MSK_INFINITY, mubc[i]);
}
else
{
LOG(WARNING) << "Every constraint should not be free.";
}
}
for (int i = 0; i < mNumCone; ++i)
{
Cone& cone = mCones[i];
r = MSK_appendcone(task, MSK_CT_RQUAD, 0.0, cone.mSubscripts.size(), cone.GetMosekConeSubId());
//r = MSK_appendcone(task, MSK_CT_QUAD, 0.0, cone.mSubscripts.size(), cone.GetMosekConeSubId());
}
if (r == MSK_RES_OK)
{
MSKrescodee trmcode;
r = MSK_optimizetrm(task, &trmcode);
MSK_solutionsummary(task, MSK_STREAM_LOG);
if (r == MSK_RES_OK)
{
MSKsolstae solsta;
MSK_getsolutionstatus(task, MSK_SOL_ITR, NULL, &solsta);
double* result = new double[mNumVar];
switch (solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
MSK_getsolutionslice(task, MSK_SOL_ITR, MSK_SOL_ITEM_XX, 0, mNumVar, result);
LOG(INFO) << "Optimal primal solution";
ret = true;
solution = VectorXd::Zero(mNumVar);
sol = VectorXd::Zero(mNumVar);
for (int k = 0; k < mNumVar; ++k)
{
solution[k] = result[k];
sol[k] = result[k];
}
break;
case MSK_SOL_STA_DUAL_INFEAS_CER:
case MSK_SOL_STA_PRIM_INFEAS_CER:
case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:
LOG(WARNING) << "Primal or dual infeasibility certificate found.";
break;
case MSK_SOL_STA_UNKNOWN:
LOG(WARNING) << "The status of the solution could not be determined.";
break;
default:
LOG(WARNING) << "Other solution status.";
break;
}
delete[] result;
}
}
else
{
LOG(WARNING) << "Error while optimizing.";
}
if (r != MSK_RES_OK)
{
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
LOG(WARNING) << "An error occurred while optimizing.";
MSK_getcodedesc(r, symname, desc);
LOG(WARNING) << "Error " << symname << " - " << desc;
}
}
MSK_deletetask(&task);
MSK_deleteenv(&env);
#endif
return ret;
}
int main(int argc,char *argv[])
{
MSKrescodee r;
MSKidxt i,j;
double c[] = {3.0, 1.0, 5.0, 1.0};
/* Below is the sparse representation of the A
matrix stored by column. */
MSKlidxt aptrb[] = {0, 2, 5, 7};
MSKlidxt aptre[] = {2, 5, 7, 9};
MSKidxt asub[] = { 0, 1,
0, 1, 2,
0, 1,
1, 2};
double aval[] = { 3.0, 2.0,
1.0, 1.0, 2.0,
2.0, 3.0,
1.0, 3.0};
/* Bounds on constraints. */
MSKboundkeye bkc[] = {MSK_BK_FX, MSK_BK_LO, MSK_BK_UP };
double blc[] = {30.0, 15.0, -MSK_INFINITY};
double buc[] = {30.0, +MSK_INFINITY, 25.0 };
/* Bounds on variables. */
MSKboundkeye bkx[] = {MSK_BK_LO, MSK_BK_RA, MSK_BK_LO, MSK_BK_LO };
double blx[] = {0.0, 0.0, 0.0, 0.0 };
double bux[] = {+MSK_INFINITY, 10.0, +MSK_INFINITY, +MSK_INFINITY };
double xx[NUMVAR];
MSKenv_t env = NULL;
MSKtask_t task = NULL;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL,NULL,NULL,NULL);
/* Directs the env log stream to the 'printstr' function. */
if ( r==MSK_RES_OK )
MSK_linkfunctoenvstream(env,MSK_STREAM_LOG,NULL,printstr);
/* Initialize the environment. */
if ( r==MSK_RES_OK )
r = MSK_initenv(env);
if ( r==MSK_RES_OK )
{
/* Create the optimization task. */
r = MSK_maketask(env,NUMCON,NUMVAR,&task);
/* Directs the log task stream to the 'printstr' function. */
if ( r==MSK_RES_OK )
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Give MOSEK an estimate of the size of the input data.
This is done to increase the speed of inputting data.
However, it is optional. */
if (r == MSK_RES_OK)
r = MSK_putmaxnumvar(task,NUMVAR);
if (r == MSK_RES_OK)
r = MSK_putmaxnumcon(task,NUMCON);
if (r == MSK_RES_OK)
r = MSK_putmaxnumanz(task,NUMANZ);
/* Append 'NUMCON' empty constraints.
The constraints will initially have no bounds. */
if ( r == MSK_RES_OK )
r = MSK_append(task,MSK_ACC_CON,NUMCON);
/* Append 'NUMVAR' variables.
The variables will initially be fixed at zero (x=0). */
if ( r == MSK_RES_OK )
r = MSK_append(task,MSK_ACC_VAR,NUMVAR);
/* Optionally add a constant term to the objective. */
if ( r ==MSK_RES_OK )
r = MSK_putcfix(task,0.0);
for(j=0; j<NUMVAR && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective.*/
if(r == MSK_RES_OK)
r = MSK_putcj(task,j,c[j]);
/* Set the bounds on variable j.
blx[j] <= x_j <= bux[j] */
if(r == MSK_RES_OK)
r = MSK_putbound(task,
MSK_ACC_VAR, /* Put bounds on variables.*/
j, /* Index of variable.*/
bkx[j], /* Bound key.*/
blx[j], /* Numerical value of lower bound.*/
bux[j]); /* Numerical value of upper bound.*/
/* Input column j of A */
if(r == MSK_RES_OK)
r = MSK_putavec(task,
MSK_ACC_VAR, /* Input columns of A.*/
j, /* Variable (column) index.*/
aptre[j]-aptrb[j], /* Number of non-zeros in column j.*/
asub+aptrb[j], /* Pointer to row indexes of column j.*/
aval+aptrb[j]); /* Pointer to Values of column j.*/
}
/* Set the bounds on constraints.
for i=1, ...,NUMCON : blc[i] <= constraint i <= buc[i] */
for(i=0; i<NUMCON && r==MSK_RES_OK; ++i)
r = MSK_putbound(task,
MSK_ACC_CON, /* Put bounds on constraints.*/
i, /* Index of constraint.*/
bkc[i], /* Bound key.*/
blc[i], /* Numerical value of lower bound.*/
buc[i]); /* Numerical value of upper bound.*/
/* Maximize objective function. */
if (r == MSK_RES_OK)
r = MSK_putobjsense(task,
MSK_OBJECTIVE_SENSE_MAXIMIZE);
if ( r==MSK_RES_OK )
{
MSKrescodee trmcode;
/* Run optimizer */
r = MSK_optimizetrm(task,&trmcode);
/* Print a summary containing information
about the solution for debugging purposes. */
MSK_solutionsummary (task,MSK_STREAM_LOG);
if ( r==MSK_RES_OK )
{
MSKsolstae solsta;
int j;
MSK_getsolutionstatus (task,
MSK_SOL_BAS,
NULL,
&solsta);
switch(solsta)
{
case MSK_SOL_STA_OPTIMAL:
case MSK_SOL_STA_NEAR_OPTIMAL:
MSK_getsolutionslice(task,
MSK_SOL_BAS, /* Request the basic solution. */
MSK_SOL_ITEM_XX,/* Which part of solution. */
0, /* Index of first variable. */
NUMVAR, /* Index of last variable+1. */
xx);
printf("Optimal primal solution\n");
for(j=0; j<NUMVAR; ++j)
printf("x[%d]: %e\n",j,xx[j]);
break;
case MSK_SOL_STA_DUAL_INFEAS_CER:
case MSK_SOL_STA_PRIM_INFEAS_CER:
case MSK_SOL_STA_NEAR_DUAL_INFEAS_CER:
case MSK_SOL_STA_NEAR_PRIM_INFEAS_CER:
printf("Primal or dual infeasibility certificate found.\n");
break;
case MSK_SOL_STA_UNKNOWN:
printf("The status of the solution could not be determined.\n");
break;
default:
printf("Other solution status.");
break;
}
}
else
{
printf("Error while optimizing.\n");
}
}
if (r != MSK_RES_OK)
{
/* In case of an error print error code and description. */
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
printf("An error occurred while optimizing.\n");
MSK_getcodedesc (r,
symname,
desc);
printf("Error %s - '%s'\n",symname,desc);
}
MSK_deletetask(&task);
MSK_deleteenv(&env);
}
return r;
}
int main(int argc,char *argv[])
{
const MSKint32t numvar = 3,
numcon = 3;
MSKint32t i,j;
double c[] = {1.5, 2.5, 3.0};
MSKint32t ptrb[] = {0, 3, 6},
ptre[] = {3, 6, 9},
asub[] = { 0, 1, 2,
0, 1, 2,
0, 1, 2};
double aval[] = { 2.0, 3.0, 2.0,
4.0, 2.0, 3.0,
3.0, 3.0, 2.0};
MSKboundkeye bkc[] = {MSK_BK_UP, MSK_BK_UP, MSK_BK_UP };
double blc[] = {-MSK_INFINITY, -MSK_INFINITY, -MSK_INFINITY};
double buc[] = {100000, 50000, 60000};
MSKboundkeye bkx[] = {MSK_BK_LO, MSK_BK_LO, MSK_BK_LO};
double blx[] = {0.0, 0.0, 0.0,};
double bux[] = {+MSK_INFINITY, +MSK_INFINITY,+MSK_INFINITY};
double *xx=NULL;
MSKenv_t env;
MSKtask_t task;
MSKint32t varidx,conidx;
MSKrescodee r;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL);
if ( r==MSK_RES_OK )
{
/* Create the optimization task. */
r = MSK_maketask(env,numcon,numvar,&task);
/* Directs the log task stream to the
'printstr' function. */
MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Append the constraints. */
if (r == MSK_RES_OK)
r = MSK_appendcons(task,numcon);
/* Append the variables. */
if (r == MSK_RES_OK)
r = MSK_appendvars(task,numvar);
/* Put C. */
if (r == MSK_RES_OK)
r = MSK_putcfix(task, 0.0);
if (r == MSK_RES_OK)
for(j=0; j<numvar; ++j)
r = MSK_putcj(task,j,c[j]);
/* Put constraint bounds. */
if (r == MSK_RES_OK)
for(i=0; i<numcon; ++i)
r = MSK_putconbound(task,i,bkc[i],blc[i],buc[i]);
/* Put variable bounds. */
if (r == MSK_RES_OK)
for(j=0; j<numvar; ++j)
r = MSK_putvarbound(task,j,bkx[j],blx[j],bux[j]);
/* Put A. */
if (r == MSK_RES_OK)
if ( numcon>0 )
for(j=0; j<numvar; ++j)
r = MSK_putacol(task,
j,
ptre[j]-ptrb[j],
asub+ptrb[j],
aval+ptrb[j]);
if (r == MSK_RES_OK)
r = MSK_putobjsense(task,
MSK_OBJECTIVE_SENSE_MAXIMIZE);
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
if (r == MSK_RES_OK)
{
xx = calloc(numvar,sizeof(double));
if ( !xx )
r = MSK_RES_ERR_SPACE;
}
if (r == MSK_RES_OK)
r = MSK_getxx(task,
MSK_SOL_BAS, /* Basic solution. */
xx);
/* Make a change to the A matrix */
if (r == MSK_RES_OK)
r = MSK_putaij(task, 0, 0, 3.0);
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
/* Get index of new variable, this should be 3 */
if (r == MSK_RES_OK)
r = MSK_getnumvar(task,&varidx);
/* Append a new variable x_3 to the problem */
if (r == MSK_RES_OK)
r = MSK_appendvars(task,1);
/* Set bounds on new variable */
if (r == MSK_RES_OK)
r = MSK_putvarbound(task,
varidx,
MSK_BK_LO,
0,
+MSK_INFINITY);
/* Change objective */
if (r == MSK_RES_OK)
r = MSK_putcj(task,varidx,1.0);
/* Put new values in the A matrix */
if (r == MSK_RES_OK)
{
MSKint32t acolsub[] = {0, 2};
double acolval[] = {4.0, 1.0};
r = MSK_putacol(task,
varidx, /* column index */
2, /* num nz in column*/
acolsub,
acolval);
}
/* Change optimizer to free simplex and reoptimize */
if (r == MSK_RES_OK)
r = MSK_putintparam(task,MSK_IPAR_OPTIMIZER,MSK_OPTIMIZER_FREE_SIMPLEX);
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
/* Get index of new constraint*/
if (r == MSK_RES_OK)
r = MSK_getnumcon(task,&conidx);
/* Append a new constraint */
if (r == MSK_RES_OK)
r = MSK_appendcons(task,1);
/* Set bounds on new constraint */
if (r == MSK_RES_OK)
r = MSK_putconbound(task,
conidx,
MSK_BK_UP,
-MSK_INFINITY,
30000);
/* Put new values in the A matrix */
if (r == MSK_RES_OK)
{
MSKidxt arowsub[] = {0, 1, 2, 3 };
double arowval[] = {1.0, 2.0, 1.0, 1.0};
r = MSK_putarow(task,
conidx, /* row index */
4, /* num nz in row*/
arowsub,
arowval);
}
if (r == MSK_RES_OK)
r = MSK_optimizetrm(task,NULL);
if ( xx )
free(xx);
MSK_deletetask(&task);
}
MSK_deleteenv(&env);
printf("Return code: %d (0 means no error occured.)\n",r);
return ( r );
} /* main */
int main(int argc,char *argv[])
{
const MSKint32t numvar = 2,
numcon = 2;
double c[] = { 1.0, 0.64 };
MSKboundkeye bkc[] = { MSK_BK_UP, MSK_BK_LO };
double blc[] = { -MSK_INFINITY,-4.0 };
double buc[] = { 250.0, MSK_INFINITY };
MSKboundkeye bkx[] = { MSK_BK_LO, MSK_BK_LO };
double blx[] = { 0.0, 0.0 };
double bux[] = { MSK_INFINITY, MSK_INFINITY };
MSKint32t aptrb[] = { 0, 2 },
aptre[] = { 2, 4 },
asub[] = { 0, 1, 0, 1 };
double aval[] = { 50.0, 3.0, 31.0, -2.0 };
MSKint32t i,j;
MSKenv_t env = NULL;
MSKtask_t task = NULL;
MSKrescodee r;
/* Create the mosek environment. */
r = MSK_makeenv(&env,NULL);
/* Check if return code is ok. */
if ( r==MSK_RES_OK )
{
/* Create the optimization task. */
r = MSK_maketask(env,0,0,&task);
if ( r==MSK_RES_OK )
r = MSK_linkfunctotaskstream(task,MSK_STREAM_LOG,NULL,printstr);
/* Append 'numcon' empty constraints.
The constraints will initially have no bounds. */
if ( r == MSK_RES_OK )
r = MSK_appendcons(task,numcon);
/* Append 'numvar' variables.
The variables will initially be fixed at zero (x=0). */
if ( r == MSK_RES_OK )
r = MSK_appendvars(task,numvar);
/* Optionally add a constant term to the objective. */
if ( r ==MSK_RES_OK )
r = MSK_putcfix(task,0.0);
for(j=0; j<numvar && r == MSK_RES_OK; ++j)
{
/* Set the linear term c_j in the objective.*/
if(r == MSK_RES_OK)
r = MSK_putcj(task,j,c[j]);
/* Set the bounds on variable j.
blx[j] <= x_j <= bux[j] */
if(r == MSK_RES_OK)
r = MSK_putvarbound(task,
j, /* Index of variable.*/
bkx[j], /* Bound key.*/
blx[j], /* Numerical value of lower bound.*/
bux[j]); /* Numerical value of upper bound.*/
/* Input column j of A */
if(r == MSK_RES_OK)
r = MSK_putacol(task,
j, /* Variable (column) index.*/
aptre[j]-aptrb[j], /* Number of non-zeros in column j.*/
asub+aptrb[j], /* Pointer to row indexes of column j.*/
aval+aptrb[j]); /* Pointer to Values of column j.*/
}
/* Set the bounds on constraints.
for i=1, ...,numcon : blc[i] <= constraint i <= buc[i] */
for(i=0; i<numcon && r==MSK_RES_OK; ++i)
r = MSK_putconbound(task,
i, /* Index of constraint.*/
bkc[i], /* Bound key.*/
blc[i], /* Numerical value of lower bound.*/
buc[i]); /* Numerical value of upper bound.*/
/* Specify integer variables. */
for(j=0; j<numvar && r == MSK_RES_OK; ++j)
r = MSK_putvartype(task,j,MSK_VAR_TYPE_INT);
if ( r==MSK_RES_OK )
r = MSK_putobjsense(task,
MSK_OBJECTIVE_SENSE_MAXIMIZE);
if ( r==MSK_RES_OK )
{
MSKrescodee trmcode;
/* Run optimizer */
r = MSK_optimizetrm(task,&trmcode);
/* Print a summary containing information
about the solution for debugging purposes*/
MSK_solutionsummary (task,MSK_STREAM_MSG);
if ( r==MSK_RES_OK )
{
MSKint32t j;
MSKsolstae solsta;
double *xx = NULL;
MSK_getsolsta (task,MSK_SOL_ITG,&solsta);
xx = calloc(numvar,sizeof(double));
if ( xx )
{
switch(solsta)
{
case MSK_SOL_STA_INTEGER_OPTIMAL:
case MSK_SOL_STA_NEAR_INTEGER_OPTIMAL :
MSK_getxx(task,
MSK_SOL_ITG, /* Request the integer solution. */
xx);
printf("Optimal solution.\n");
for(j=0; j<numvar; ++j)
printf("x[%d]: %e\n",j,xx[j]);
break;
case MSK_SOL_STA_PRIM_FEAS:
/* A feasible but not necessarily optimal solution was located. */
MSK_getxx(task,MSK_SOL_ITG,xx);
printf("Feasible solution.\n");
for(j=0; j<numvar; ++j)
printf("x[%d]: %e\n",j,xx[j]);
break;
case MSK_SOL_STA_UNKNOWN:
{
MSKprostae prosta;
MSK_getprosta(task,MSK_SOL_ITG,&prosta);
switch (prosta)
{
case MSK_PRO_STA_PRIM_INFEAS_OR_UNBOUNDED:
printf("Problem status Infeasible or unbounded\n");
break;
case MSK_PRO_STA_PRIM_INFEAS:
printf("Problem status Infeasible.\n");
break;
case MSK_PRO_STA_UNKNOWN:
printf("Problem status unknown.\n");
break;
default:
printf("Other problem status.");
break;
}
}
break;
default:
printf("Other solution status.");
break;
}
}
else
{
r = MSK_RES_ERR_SPACE;
}
free(xx);
}
}
if (r != MSK_RES_OK)
{
/* In case of an error print error code and description. */
char symname[MSK_MAX_STR_LEN];
char desc[MSK_MAX_STR_LEN];
printf("An error occurred while optimizing.\n");
MSK_getcodedesc (r,
symname,
desc);
printf("Error %s - '%s'\n",symname,desc);
}
MSK_deletetask(&task);
}
MSK_deleteenv(&env);
printf("Return code: %d.\n",r);
return ( r );
} /* main */
template <typename _Scalar> typename MosekOpt<_Scalar>::ReturnType
MosekOpt<_Scalar>::
update( bool verbose )
{
if ( _task != NULL )
{
std::cerr << "[" << __func__ << "]: " << "update can only be called once! returning." << std::endl;
return MSK_RES_ERR_UNKNOWN;
}
/* Create the optimization task. */
if ( MSK_RES_OK == _r )
{
_r = MSK_maketask( _env, this->getConstraintCount(), this->getVarCount(), &_task );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not create task with " << this->getVarCount() << " vars, and " << this->getConstraintCount() << " constraints" << std::endl;
}
// redirect output
if ( MSK_RES_OK == _r )
{
_r = MSK_linkfunctotaskstream( _task, MSK_STREAM_LOG, NULL, mosekPrintStr );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not create rewire output to mosekPrintStr(), continuing though..." << std::endl;
}
// Append _numCon empty constraints. The constraints will initially have no bounds.
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_appendcons(_task,"<< this->getConstraintCount() <<");" << std::endl;
_r = MSK_appendcons( _task, this->getConstraintCount() );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not append " << this->getConstraintCount() << " constraints" << std::endl;
}
// Append _numVar variables. The variables will initially be fixed at zero (x=0).
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_appendvars(_task," << this->getVarCount() <<");" << std::endl;
_r = MSK_appendvars( _task, this->getVarCount() );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not append " << this->getVarCount() << " variables" << std::endl;
}
// Optionally add a constant term to the objective.
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_putcfix(_task," << this->getObjectiveBias() << ");" << std::endl;
_r = MSK_putcfix( _task, this->getObjectiveBias() );
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "could not add constant " << this->getObjectiveBias() << " to objective function" << std::endl;
}
// set Variables
for ( size_t j = 0; (j < this->getVarCount()) && (MSK_RES_OK == _r); ++j )
{
// set Variable j's Bounds // blx[j] <= x_j <= bux[j]
if ( MSK_RES_OK == _r )
{
_r = MSK_putvarbound( _task,
j, /* Index of variable.*/
MosekOpt<Scalar>::getBoundTypeCustom( this->getVarBoundType(j) ), /* Bound key.*/
this->getVarLowerBound(j), /* Numerical value of lower bound.*/
this->getVarUpperBound(j) ); /* Numerical value of upper bound.*/
if ( verbose ) std::cout << "my: MSK_putvarbound(_task," << j << "," << this->getVarBoundType(j) << "," << this->getVarLowerBound(j) << "," << this->getVarUpperBound(j) << ");" << std::endl;
}
// set Variable j's Type
if ( MSK_RES_OK == _r )
{
_r = MSK_putvartype( _task, j, MosekOpt<Scalar>::getVarTypeCustom(this->getVarType(j)) );
}
// set Variable j's linear coefficient in the objective function
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: putcj(_task," << j << "," << this->getLinObjectives()[j] << ")" << std::endl;
_r = MSK_putcj( _task, j, this->getLinObjectives()[j] );
}
}
// set Quadratic Objectives
if ( MSK_RES_OK == _r )
{
const int numNonZeros = this->getQuadraticObjectives().size();
MSKint32t *qsubi = new MSKint32t[numNonZeros],
*qsubj = new MSKint32t[numNonZeros];
double *qval = new double[numNonZeros];
for ( size_t qi = 0; qi != this->getQuadraticObjectives().size(); ++qi )
{
qsubi[qi] = this->getQuadraticObjectives()[qi].row();
qsubj[qi] = this->getQuadraticObjectives()[qi].col();
qval [qi] = this->getQuadraticObjectives()[qi].value();
}
if ( verbose ) std::cout<<"my: putqobj( _task, " << numNonZeros << ",\n";
for ( size_t vi = 0; vi != numNonZeros; ++vi )
{
if ( verbose ) std::cout << qsubi[vi] << "," << qsubj[vi] << ", " << qval[vi] << std::endl;
}
if ( verbose ) std::cout << ");" << std::endl;
_r = MSK_putqobj( _task, numNonZeros, qsubi, qsubj, qval );
if ( qsubi ) { delete[] qsubi; qsubi = NULL; }
if ( qsubj ) { delete[] qsubj; qsubj = NULL; }
if ( qval ) { delete[] qval ; qval = NULL; }
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "Setting Quadratic Objectives caused error code " << (int)_r << std::endl;
} // ...Quadratic objective
// set Linear Constraints
{
typename ParentType::SparseMatrix A( this->getLinConstraintsMatrix() );
// ( this->getConstraintCount(), this->getVarCount() );
// A.setFromTriplets( this->getLinConstraints().begin(), this->getLinConstraints().end() );
std::vector<double> aval; // Linear constraints coeff matrix (sparse)
std::vector<int> asub; // Linear constraints coeff matrix indices
std::vector<int> aptrb, aptre;
for ( int row = 0; (row < A.outerSize()) && (MSK_RES_OK == _r); ++row )
{
// set Constraint Bounds for row
if ( MSK_RES_OK == _r )
{
if ( verbose ) std::cout << "my: MSK_putconbound( _task, " << row << ", "
<< MosekOpt<Scalar>::getBoundTypeCustom( this->getConstraintBoundType(row) ) << ", "
<< this->getConstraintLowerBound( row ) << ", "
<< this->getConstraintUpperBound( row ) << ")"
<< std::endl; fflush( stdout );
_r = MSK_putconbound( _task,
row, /* Index of constraint.*/
MosekOpt<Scalar>::getBoundTypeCustom(this->getConstraintBoundType(row)), /* Bound key.*/
this->getConstraintLowerBound(row), /* Numerical value of lower bound.*/
this->getConstraintUpperBound(row) ); /* Numerical value of upper bound.*/
}
// set Linear Constraint row
if ( MSK_RES_OK == _r )
{
// new line starts at index == current size
aptrb.push_back( aval.size() );
// add coeffs from new line
for ( typename ParentType::SparseMatrix::InnerIterator it(A,row); it; ++it )
{
if ( row != it.row() ) std::cerr << "[" << __func__ << "]: " << "this shouldn't happen" << std::endl;
// coeff value
aval.push_back( it.value() ); // TODO: A should be a matrix, not a vector...
// coeff subscript
asub.push_back( it.col() );
}
// new line ends at index == new size
aptre.push_back( aval.size() );
if ( verbose ) {
std::cout << "my: MSK_putarow( _task, "
<< row << ", "
<< aptre[row] - aptrb[row] << ", "
<< *(asub.data() + aptrb[row]) << ", "
<< *(aval.data() + aptrb[row]) << ");"
<< std::endl; fflush( stdout );
}
_r = MSK_putarow( _task,
row, /* Row index.*/
aptre[row] - aptrb[row], /* Number of non-zeros in row i.*/
asub.data() + aptrb[row], /* Pointer to column indexes of row i.*/
aval.data() + aptrb[row]); /* Pointer to values of row i.*/
}
} // ... for A.rows
// report error
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "Setting Lin constraints caused error code " << (int)_r << std::endl;
} // ...set Linear Constraints
// set Quadratic constraints
if ( verbose ) std::cout << "[" << __func__ << "]: " << "adding q constraints" << std::endl;
for ( size_t constr_id = 0; (constr_id != this->getQuadraticConstraints().size()) && (MSK_RES_OK == _r); ++constr_id )
{
const int numNonZeros = this->getQuadraticConstraints(constr_id).size();
MSKint32t *qsubi = new MSKint32t[numNonZeros],
*qsubj = new MSKint32t[numNonZeros];
double *qval = new double[numNonZeros];
for ( size_t qi = 0; qi != this->getQuadraticConstraints(constr_id).size(); ++qi )
{
qsubi[qi] = this->getQuadraticConstraints(constr_id)[qi].row();
qsubj[qi] = this->getQuadraticConstraints(constr_id)[qi].col();
qval [qi] = this->getQuadraticConstraints(constr_id)[qi].value();
}
if ( verbose ) std::cout<<"my: MSK_putqonk( _task, " << constr_id << ", " << numNonZeros << ",\n";
for(size_t vi=0;vi!=numNonZeros;++vi)
{
if ( verbose ) std::cout << qsubi[vi] << "," << qsubj[vi] << ", " << qval[vi] << std::endl;
}
if ( verbose ) std::cout << "); " << std::endl;
_r = MSK_putqconk(_task,
constr_id,
numNonZeros,
qsubi,
qsubj,
qval);
if ( qsubi ) { delete[] qsubi; qsubi = NULL; }
if ( qsubj ) { delete[] qsubj; qsubj = NULL; }
if ( qval ) { delete[] qval ; qval = NULL; }
if ( MSK_RES_OK != _r )
std::cerr << "[" << __func__ << "]: " << "Setting Quad constraints caused error code " << (int)_r << std::endl;
} // ...set Quadratic Constraints
// save to file
{
if ( _r == MSK_RES_OK )
{
_r = MSK_putintparam( _task, MSK_IPAR_WRITE_DATA_FORMAT, MSK_DATA_FORMAT_LP );
if ( _r == MSK_RES_OK )
{
_r = MSK_writedata( _task, "mosek.lp" );
if ( _r != MSK_RES_OK )
{
std::cerr << "[" << __func__ << "]: " << "Writedata did not work" << (int)_r << std::endl;
}
}
}
}
if ( _r == MSK_RES_OK )
{
this->_x.setZero();
this->_updated = true;
}
// return error code
return _r;
} // ...MosekOpt::update()